Background: Major depressive disorder is a prevalent and disabling illness. Notwithstanding numerous advances in the pharmacological treatment of depression, approximately 70% of patients do not remit after first-line antidepressant treatment. Methods: The MEDLINE/PubMed, EMBASE and ClinicalTrials.gov electronic databases were searched from inception to October 1, 2013, for randomized controlled trials (RCT), relevant open-label trials, meta-analyses and ongoing trials of pharmacological and psychotherapeutic approaches to treatment-resistant depression (TRD). Results: Switching to a different antidepressant is a useful option following nonresponse to a first-line agent. Although widely used in clinical practice, there is limited evidence to support antidepressant combination for TRD. Notwithstanding evidence for lithium or T3 augmentation to be successful in TRD, most studies were carried out when participants were treated with tricyclic antidepressants (TCA). Of the available strategies to augment the response to new-generation antidepressants, the use of some atypical antipsychotics is best supported by evidence. Several novel therapeutic options are currently discussed. Evidence suggests that cognitive therapy (CT) is an effective strategy for TRD. Conclusions: The success of switching to a different antidepressant following a first-line agent is supported by evidence, but there is limited evidence for effective combination strategies. Lithium and T3 augmentation of TCA have the strongest evidence base for successful treatment of TRD. The use of augmentation of newer-generation antidepressants with atypical antipsychotics is supported by a growing evidence base. Current evidence supports CT as an effective strategy for TRD. There is a need for additional large-scale RCT of TRD. The development of new antidepressants targeting novel pathways opens a promising perspective for the management of TRD.